Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0063 |
| Annualized Std Dev | 0.2346 |
| Annualized Sharpe (Rf=0%) | 0.0270 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3484.0000 |
| NAs | 1.0000 |
| Minimum | -0.1319 |
| Quartile 1 | -0.0056 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1382 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.2348 |
| Kurtosis | 13.4415 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0105 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0153 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.6216 |
| Historical VaR (95%) | -0.0215 |
| Historical ES (95%) | -0.0368 |
| Modified VaR (95%) | -0.0211 |
| Modified ES (95%) | -0.0264 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2021-02-16 | -0.6216 | 3345 | 339 | 3006 |
| 2007-07-17 | 2007-08-20 | 2007-10-10 | -0.1279 | 52 | 22 | 30 |
| 2007-10-15 | 2007-10-19 | 2007-10-26 | -0.0438 | 10 | 5 | 5 |
| 2021-02-17 | 2021-02-26 | 2021-03-17 | -0.0382 | 21 | 8 | 13 |
| 2007-06-05 | 2007-06-07 | 2007-07-02 | -0.0371 | 15 | 3 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | -0.3 | -0.7 | -1.1 | -0.3 | 0.8 | 0.1 | -2 | 0 | -0.5 | -3.8 |
| 2008 | 1 | -1.9 | 2.6 | -0.5 | 0.7 | -1.3 | -2.1 | -2.2 | 0.8 | 2 | -8.6 | 1.7 | -8.1 |
| 2009 | -0.5 | -0.1 | 1.4 | 1.1 | 1.8 | 2.1 | 1.4 | -2.6 | -3 | -3.4 | 3 | -0.5 | 0.6 |
| 2010 | 2 | 0.9 | 1.9 | -0.6 | -1.1 | 1.5 | -0.3 | 3.4 | 0.9 | -0.6 | 3 | 0.3 | 11.8 |
| 2011 | 2.8 | -0.7 | 0.4 | 0.6 | -2.3 | 0.8 | -1.4 | -1 | -2.8 | -3 | -1 | 0.6 | -6.9 |
| 2012 | 1.5 | 0.8 | 0.9 | 0.9 | -2.4 | 3.5 | 0.3 | 0.9 | 0.5 | 1 | 0.1 | 1.2 | 9.4 |
| 2013 | 0.6 | 0 | -1.4 | -0.6 | -2.1 | 0.7 | 1.2 | -0.9 | 0.5 | -0.6 | 0.2 | 0.4 | -1.9 |
| 2014 | -1.4 | 0.3 | 0.8 | 0.4 | 0 | 0.8 | -0.7 | -0.2 | -1.1 | 1.6 | 0.1 | -0.8 | -0.2 |
| 2015 | -1.3 | 0.2 | 0.5 | 0.7 | -0.2 | 0.6 | 0.4 | -3 | 0.4 | 0 | 1 | -0.9 | -1.8 |
| 2016 | -0.1 | 2.4 | -1 | -0.3 | -0.1 | 0.4 | -0.5 | 0.7 | 0.5 | -0.4 | -0.2 | 0.3 | 1.5 |
| 2017 | 0.4 | 1 | -0.3 | 0.2 | 0.5 | 0.1 | 0.5 | 0.3 | 0.7 | 0.4 | -0.2 | 0.1 | 3.8 |
| 2018 | 0.2 | -1.3 | 1.1 | -0.3 | 0.8 | 0.7 | -0.4 | -0.6 | 0.3 | 1.5 | -0.4 | 0.3 | 1.7 |
| 2019 | 0 | 0.4 | 1.4 | -0.5 | -0.9 | 0.5 | -0.3 | 0.4 | -0.9 | 0.9 | -0.7 | 0.5 | 0.7 |
| 2020 | -1.6 | -0.8 | -4.4 | -2.1 | 2.3 | 0.4 | -1.9 | 0.3 | 0.6 | -0.6 | 2.1 | -0.7 | -6.3 |
| 2021 | 1.5 | 1.9 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-04-26 32.7 SPY 150. 0.0011 0.0164 0.0475 0.0519 0.148 0.309 0.368 GLD 66.9 -0.015 -0.0098
2 2007-04-27 32.7 SPY 150. -0.0008 0.0061 0.0544 0.0518 0.147 0.309 0.366 GLD 67.6 0.0103 -0.0166
3 2007-04-30 32.6 SPY 148. -0.0083 0.0016 0.0445 0.0439 0.132 0.297 0.381 GLD 67.1 -0.007 -0.0171
4 2007-05-01 32.5 SPY 149. 0.0026 0.0037 0.047 0.0412 0.131 0.318 0.391 GLD 66.7 -0.006 -0.0154
5 2007-05-02 32.7 SPY 150. 0.0059 0.0004 0.0519 0.0403 0.147 0.337 0.386 GLD 66.7 -0.0004 -0.0181
6 2007-05-03 32.7 SPY 150. 0.0054 0.0047 0.0463 0.0397 0.144 0.355 0.377 GLD 67.5 0.0125 0.00930
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
